A0948
Title: ESG news and stock market reaction: What kind of information matters the most?
Authors: Simone Boccaletti - University of Milano-Bicocca (Italy) [presenting]
Paolo Maranzano - University of Milano-Bicocca & Fondazione Eni Enrico Mattei (Italy)
Abstract: The purpose is to analyze which type of ESG-related information has a significant effect on the stock market return. To do this, two different kinds of ESG news are considered: the publication of an ESG rating by a rating agency and the publication of non-financial sustainability reports by the companies (DNF). The event study methodology approach is employed to a sample of listed Italian firms over the period 2021-2022, with a specific focus on the energy and utility sectors. It is pointed out that the informational content of DNFs and ESG ratings are different and, regarding ESG ratings, investors' reactions might be driven by the upgrading or the downgrading of the score. The results can support policymakers in the development of new disclosure requirements and guidelines since the aim is to highlight which type of information might be more relevant to investors.
